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To measure the systemic risk in financial markets, and rank systemically important financial institutions (SIFIs), we propose a methodology based on the Google PageRank algorithm. We understand the economic system as interconnected risk shocks of firms in both the financial sector and the real economy....

The increasingly intertwined banking and insurance sectors have lead to calls for stronger regulatory oversight of the insurance industry as potentially systemically risky. Ultimately systemic risk impacts the real economy, and this paper measures the risk via interconnectedness of the banking, insurance and real economy...

We provide empirical evidence on the degree of systemic risk in Australia before, during and after the Global Financial Crisis. We calculate a daily index of systemic risk from 2004 to 2013 in order to understand how real economy firms influence the outcomes for the...

We develop a theoretical and empirical framework to model the international connections between financial institutions and sovereign debt markets. The empirical framework nests both tests of contagion and changes in the structure of the network itself. The network is found to be robust but fragile....